V-Lab: Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Egyptian Pound Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:10.97% (-0.21%)

Analysis last updated: Friday, April 26, 2024 at 07:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.1879	4.47
$α$	0.1734	4.85
$β$	0.7244	15.39
$γ_{1}$	0.0263	0.17
$γ_{2}$	0.0148	0.05
$γ_{3}$	0.0219	0.09
$γ_{4}$	-0.1494	-0.68
$γ_{5}$	0.0926	0.39
$γ_{6}$	0.1395	0.66
$γ_{7}$	-0.3080	-1.84
$γ_{8}$	0.1676	1.10
$γ_{9}$	0.2162	1.30
$γ_{10}$	-0.3950	-2.39

Estimation Period:
Jan 30, 2003 to Apr 26, 2024

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